When I stack the 3rd B&W Layer, it works fine as long as there is some white in the 2nd B&W Layer. If I hide the 2nd B&W Layer, the 3rd Layer gives the warning, unless I add some white pixels to the black mask.

So, as long as there is at least one B&W Adj. Layer with Knockout, with minimal white pixels, all of the stacked B&W Adj. Layers work fine.

Note, these are all above the Background Layer and the 1st B&W Adj. Layer.

This technique of using multiple stacked B&W Adj. Layers comes from Ben Willmore.